All you need to do is to copy splash image file to /boot/grub/ directory and edit the grub menu configuration file at /boot/grub/menu.lst and add a line

splashimage=(hd0,5)/boot/grub/splash.xpm.gz

Remember to change the (hd0,5) param for your configuration, this line shows the grub loader where it can find the image on the physical disk. Because the partitions has not yet mounted we must give the physical address by saying the bootloader the hd0 and partition number 5. You can learn your linux partition number by looking at the similar line